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How do crises spread?: evidence from accessible and inaccessible stock indices

Boyer, Brian H., Kumagai, Timoni and Yuan, Kathy (2006) How do crises spread?: evidence from accessible and inaccessible stock indices. The Journal of Finance, 61 (2). pp. 957-1003. ISSN 0022-1082

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Abstract

We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors rather than through changes in fundamentals.

Item Type: Article
Official URL: http://www.afajof.org/
Additional Information: © 2006 The American Finance Association
Library of Congress subject classification: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F47 - Forecasting and Simulation
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
Sets: Departments > Finance
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 10 Nov 2011 11:35
URL: http://eprints.lse.ac.uk/39406/

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